I run the game well till the screen saying "The druids sent the hero to Stonehenge, blah, blah, blah". Then the game exits without any error message, and retuns to Windows.

Are you running it in DOSBox and what are your computer specs?

You're right. I've not been too much precise on anything.

I've got a Celeron 400, 192 MB RAM, Win 98, Sound Blaster, Voodoo 3 (if this is of any importance :) ).

Anyway I'm not running it with DOSBOX (Win 98 still supports original DOS).
I ran it by Windows. I know this is a DOS game, but almost all DOS games I've got (and I've got a lot of those, I assure you) run well on Windows. Or if they don't, they just not run at all. Instead, Moonstone, runs well for all the intro, and then shuts down without an error message.

Of course I tried to run it also from DOS, but it tells me I need more RAM.
I probably can set out my config.sys file to obtain the necessary RAM, but seen the problem it gives me from Win, I thought it would have been unuseful.

You need to check how much ram you got to run dos program. Open DOS Prompr and type mem and copy results here.

You might get more ram for DOS programs by setting some drivers to use Upper memory Block (from 640Kb - 1MB).

More details on that you can find here.

I advise you to look here first and look at the quoted guide at the bottom of the second post. Work well with Win98.